On some risk-adjusted tail-based premium calculation principles (Q3566017)
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scientific article; zbMATH DE number 5717334
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| English | On some risk-adjusted tail-based premium calculation principles |
scientific article; zbMATH DE number 5717334 |
Statements
7 June 2010
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tail conditional expectation
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tail standard deviation
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distortion function
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Wang's premium principle
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risk-adjusted tail standard deviation
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risk-adjusted tail conditional expectation
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0.8031338453292847
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0.7975766658782959
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0.796601414680481
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0.778651773929596
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0.7621434330940247
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